After a lot of trial and errors I finally compiled MAGMA using MinGW-w64 and used it in Visual Studio (for x64 bit)
In order for it to compile I had to change some declarations and implementations of auxiliary functions:
For instance, I've changed magma_malloc_cpu to use _aligned_malloc, and had to also update the magma_free_cpu to use _aligned_free because in windows just calling free is not possible for allocations created by _aligned_malloc.
I've created a patch file with all the fixes that can be easily applied on the magma-1.2.1 source.
After applying this patch it is possible to compile the mamga and magmablas libs and use them from Visual Studio.
(It is not possible to compile and successfully run the testing directory due to incompatability of CUDA with mingw, but it is possible to compile all the testing examples with Visual Studio)
The patch file and a detailed step-by-step explanation (including how to use it from VS) can be found here http://goo.gl/KRZrJ
I've run a few benchmarks on my Tesla for magma_zhegvx and it outperformed Matlab's eigs by a factor of 5 :)